Have you went into your server manager like cpanel or ensim or whatever you have and created a mysql database to use and added a mysql user.
This is the information you need for Threads setup.
On plusmail or some custom managers it just gives you a generic database setup as in you type a database name and it creates one for you plus you specify a user.
The information for threads would then be
server: localhost
database: databasename
user: root (usually )
password: password you specified
Now on cpanel it is a bit different but easy as in everything is prefixed by your site variable.
Generally with most any server you have the ability to create a mysql database you just need to login and do it and use the information you used for the install.
